Because of the increasing number of distributed energy sources integrated with the distribution network various optimization methods are very useful in determining the optimal placement, type and size of the distributed generators. One of the most commonly used algorithms are so called...

In this paper we consider a generalization of one of the earliest models of an asset price, namely the Black–Scholes model, which captures the subdiffusive nature of an asset price dynamics. We introduce the geometric Brownian motion time-changed by infinitely divisible inverse subordinators,...

The main purpose of the paper is to present, how derivatives valuing methodology, known from financial and commodities markets, can be applied to the electricity market. We compare an application of three recent models. We start with the convenience yield approach, then we analyse the...

CONTENTS: 1. Methodology; 2. Strategic Analysis (Foresight, SWOT); 3. Forecast for the Power Sector in Lower Silesia for the period 2010-2020; 4. Mission and Strategic Goals; 5. Action Programs.

This paper presents methods for detecting the period of non Gaussian PC processes. A new statistic for testing periodic correlation is proposed. It is based on the bootstrap procedure which is used to estimate confidence intervals of coherence statistic. This method is linked to that of Hurd and...

The aim of this Ph.D. thesis is to apply specific statistical tools known and used in finance and risk management to the area of actuarial mathematics. The need for an interdisciplinary approach in both actuarial world and risk management has emerged and has recently been addressed by numerous...

In this paper we establish a spectral representation of any symmetric stable self-similar process in terms of multiplicative flows and cocycles. Applying the Lamperti transformation we obtain a unique decomposition of a symmetric stable self-similar process into three independent parts: mixed...

In this paper we introduce a generalization of the De Vylder approximation. Our idea is to approximate the ruin probability with the one for a different process with gamma claims, matching first four moments. We compare the two approximations studying mixture of exponentials and lognormal...

We derive the asymptotic behavior of two measures of dependence (Codifference and Covariation) for ARMA(1,2) models with symmetric alpha-stable innovations and non-stationary coefficients.

It is common practice in most insurance lines for the coverage to be restricted by a deductible. In the paper we investigate the influence of deductibles on pure risk premiums. We derive simple but practical formulae for premiums under franchise, fix amount, proportional, limited proportional...